While the final details for AD&Co’s 15^th Annual Conference are being made, there is still time for you to sign up and join us on June 7^th in New York or June 15^th in San Francisco. Final online registrations will be accepted through Friday, June 1^st. Just click here, http://www.ad-co.com/2007Conference/2007RegForm.htm to register—it only takes a minute. While you’re there, check out the online agenda to pinpoint the sessions you want to attend, or plan on spending the entire day with us. Breakfast and lunch will be served, many of our vendor partners will be exhibiting and available to answer your questions, and there will be ample opportunity to network with key players in the industry. Click here to read the full article.

Last month’s Valuation Commentary introduced the concept of valuation under concurrent prepayment and default modeling. The main idea is to use stochastic home price index as an additional modeling factor and pass it to the LoanDynamics™ Model (LDM). The LDM then responds by projecting CPR, CDR and losses, among many other outputs, for each market scenario.

This month’s article draws on these ideas and discusses valuation of sub-prime deals containing thousands of loans. We take a look at a Countrywide deal, CW0708, as a case study. This deal has 4,304 (1,756 fixed rates and 2,548 ARMs) sub-prime, first-lien, mostly new loans. We will focus on measuring “price of losses”, the expected present value of the lost cashflow stream. This value points to the expected provision for losses that a bank has to set aside. Click here to read the full article.

AD&Co will be releasing an update for the Agency Adjustable Rate Mortgage (ARM) prepayment model next week, the week of it's 15th annual conference. The update includes new models for FNMA & FHLMC ARMs, with a focus on hybrids. The model incorporates AD&Co’s vision to unify models by providing a single framework for fixed and adjustable rate loans and across collateral types. A unified functional form helps us understand and evaluate risk measures and relative value in a consistent manner and makes implementation easier across systems. The model was developed using data from FHLMC and FNMA, and includes pools with prepayment penalties provisions, as well as interest-only features. Click here to read the full article.